| Affine Volterra processes E Abi Jaber, M Larsson, S Pulido The Annals of Applied Probability 29 (5), 3155-3200, 2019 | 196 | 2019 |
| Multi-factor approximation of rough volatility models E Abi Jaber, O El Euch SIAM Journal on Financial Mathematics, 10(2), 309-349., 2019 | 143 | 2019 |
| Lifting the Heston model E Abi Jaber Quantitative Finance 19 (12), 1995-2013, 2019 | 89 | 2019 |
| Markovian structure of the Volterra Heston model E Abi Jaber, O El Euch Statistics & Probability Letters 149 (2019): 63-72., 2019 | 67 | 2019 |
| A weak solution theory for stochastic Volterra equations of convolution type E Abi Jaber, C Cuchiero, M Larsson, S Pulido The Annals of Applied Probability, 31(6), 2924-2952., 2021 | 40 | 2021 |
| Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation E Abi Jaber, E Miller, H Pham The Annals of Applied Probability, 31(5), 2244-2274., 2021 | 33 | 2021 |
| Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels E Abi Jaber Bernoulli 27 (3), 1583-1615, 2021 | 30 | 2021 |
| Markowitz portfolio selection for multivariate affine and quadratic Volterra models E Abi Jaber, E Miller, H Pham SIAM Journal on Financial Mathematics 12 (1), 369-409, 2021 | 29 | 2021 |
| The characteristic function of Gaussian stochastic volatility models: an analytic expression E Abi Jaber Finance and Stochastics, 2022 | 24 | 2022 |
| Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints E Abi Jaber, C Illand, S Li arXiv preprint arXiv:2212.08297, 2022 | 20 | 2022 |
| The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles E Abi Jaber, C Illand, S Li Risk Magazine, Cutting Edge Section, 2023 | 17 | 2023 |
| Integral operator Riccati equations arising in stochastic Volterra control problems E Abi Jaber, E Miller, H Pham SIAM Journal on Control and Optimization 59 (2), 1581-1603, 2021 | 14 | 2021 |
| The Laplace transform of the integrated Volterra Wishart process E Abi Jaber Mathematical Finance, 2022 | 13 | 2022 |
| Stochastic invariance of closed sets with non-Lipschitz coefficients E Abi Jaber, B Bouchard, C Illand Stochastic Processes and their Applications 129 (5), 1726-1748, 2019 | 13 | 2019 |
| Optimal Liquidation with Signals: the General Propagator Case E Abi Jaber, E Neuman arXiv preprint arXiv:2211.00447, 2022 | 12 | 2022 |
| Volatility models in practice: Rough, Path-dependent or Markovian? E Abi Jaber, S Li arXiv preprint arXiv:2401.03345, 2024 | 8 | 2024 |
| Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients E Abi Jaber Electronic Communications in Probability, 2017 | 8 | 2017 |
| Reconciling rough volatility with jumps E Abi Jaber, N De Carvalho arXiv preprint arXiv:2303.07222, 2023 | 7 | 2023 |
| Equilibrium in Functional Stochastic Games with Mean-Field Interaction E Abi Jaber, E Neuman, M Voß arXiv preprint arXiv:2306.05433, 2023 | 6 | 2023 |
| Gaussian Agency problems with memory and Linear Contracts E Abi Jaber, S Villeneuve arXiv preprint arXiv:2209.10878, 2022 | 5 | 2022 |
Sergio PulidoAssistant Professor at the ENSIIE / LaMME EvryVerified email at ensiie.fr
